PETER TANKOV : Citation Profile


Are you PETER TANKOV?

8

H index

8

i10 index

218

Citations

RESEARCH PRODUCTION:

9

Articles

24

Papers

RESEARCH ACTIVITY:

   10 years (2006 - 2016). See details.
   Cites by year: 21
   Journals where PETER TANKOV has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 12 (5.22 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pta534
   Updated: 2022-05-14    RAS profile: 2016-02-06    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with PETER TANKOV.

Is cited by:

Gozzi, Fausto (7)

federico, salvatore (6)

Prigent, Jean-Luc (4)

Maillet, Bertrand (2)

Gaspar, Raquel (2)

Cerqueti, Roy (2)

Weron, Rafał (2)

Attaoui, Sami (2)

Vanduffel, Steven (2)

Fabozzi, Frank (2)

Doko Tchatoka, Firmin (2)

Cites to:

Carr, Peter (12)

Shephard, Neil (5)

Černý, Aleš (4)

Platen, Eckhard (4)

Barndorff-Nielsen, Ole (4)

merton, robert (3)

Reiss, Markus (3)

Kogan, Leonid (3)

Lo, Andrew (3)

Benhamou, Eric (3)

Belomestny, Denis (3)

Main data


Where PETER TANKOV has published?


Journals with more than one article published# docs
Stochastic Processes and their Applications3
Mathematical Finance2

Working Papers Series with more than one paper published# docs
Papers / arXiv.org19
Working Papers / HAL4

Recent works citing PETER TANKOV (2021 and 2020)


YearTitle of citing document
2021Portfolio insurance under rough volatility and Volterra processes. (2021). Hainaut, Donatien ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021026.

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2021Option-Based Pricing of Wrong Way Risk for CVA. (2016). Kenyon, Chris ; Green, Andrew. In: Papers. RePEc:arx:papers:1609.00819.

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2021The value of power-related options under spectrally negative L\evy processes. (2019). Aguilar, Jean-Philippe. In: Papers. RePEc:arx:papers:1910.07971.

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2021Detection of arbitrage opportunities in multi-asset derivatives markets. (2020). Sarmiento, Paulo Yanez ; Papapantoleon, Antonis. In: Papers. RePEc:arx:papers:2002.06227.

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2020Optimal hedging of a perpetual American put with a single trade. (2020). Palczewski, Jan ; de Angelis, Tiziano ; Cai, Cheng. In: Papers. RePEc:arx:papers:2003.06249.

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2022Model-free bounds for multi-asset options using option-implied information and their exact computation. (2020). Papapantoleon, Antonis ; Neufeld, Ariel ; Xiang, Qikun. In: Papers. RePEc:arx:papers:2006.14288.

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2021Optimal investment in illiquid market with search frictions and transaction costs. (2021). Choi, Jin Hyuk ; Gang, Tae Ung. In: Papers. RePEc:arx:papers:2101.09936.

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2021Deep ReLU Network Expression Rates for Option Prices in high-dimensional, exponential L\evy models. (2021). Schwab, Christoph ; Gonon, Lukas. In: Papers. RePEc:arx:papers:2101.11897.

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2021Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type. (2021). Sabino, Piergiacomo. In: Papers. RePEc:arx:papers:2103.13252.

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2021Monte Carlo algorithm for the extrema of tempered stable processes. (2021). Mijatovi, Aleksandar ; Gonz, Jorge Ignacio. In: Papers. RePEc:arx:papers:2103.15310.

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2022Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information. (2022). Sester, Julian ; Neufeld, Ariel ; Lutkebohmert, Eva ; Ansari, Jonathan. In: Papers. RePEc:arx:papers:2204.01071.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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2021Hedging stocks with oil. (2021). Wagner, Niklas F ; Szilagyi, Peter G ; Kinateder, Harald ; Batten, Jonathan A. In: Energy Economics. RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319301914.

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2021Multi-objective portfolio optimization under tempered stable Lévy distribution with Copula dependence. (2021). Xiong, Xiong ; Gong, Xiao-Li. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320301343.

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2020On log-normal convolutions: An analytical–numerical method with applications to economic capital determination. (2020). Kuznetsov, Alexey ; Hackmann, Daniel ; Furman, Edward. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:120-134.

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2021Model risk and model choice in the case of barrier options and bonus certificates. (2021). Shkel, David ; Baule, Rainer. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002594.

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2021Compound vectors of subordinators and their associated positive Lévy copulas. (2021). Leisen, Fabrizio ; Riva-Palacio, Alan. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:183:y:2021:i:c:s0047259x21000063.

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2020Random time-change with inverses of multivariate subordinators: Governing equations and fractional dynamics. (2020). Ricciuti, Costantino ; Macci, Claudio ; Beghin, Luisa. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:10:p:6364-6387.

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2020Behavioral portfolio insurance strategies. (2020). Escobar Anel, Marcos ; Zagst, Rudi ; Lichtenstern, Andreas ; Escobar-Anel, Marcos. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:34:y:2020:i:4:d:10.1007_s11408-020-00353-5.

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2021The value of power-related options under spectrally negative Lévy processes. (2021). Aguilar, Jean-Philippe. In: Review of Derivatives Research. RePEc:kap:revdev:v:24:y:2021:i:2:d:10.1007_s11147-020-09174-0.

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2021Deep ReLU network expression rates for option prices in high-dimensional, exponential Lévy models. (2021). Schwab, Christoph ; Gonon, Lukas. In: Finance and Stochastics. RePEc:spr:finsto:v:25:y:2021:i:4:d:10.1007_s00780-021-00462-7.

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2020On Minimal Copulas under the Concordance Order. (2020). Fuchs, Sebastian ; Ahn, Jae Youn. In: Journal of Optimization Theory and Applications. RePEc:spr:joptap:v:184:y:2020:i:3:d:10.1007_s10957-019-01618-4.

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2020Partial Identification of Latent Correlations with Binary Data. (2020). Moss, Jonas ; Gronneberg, Steffen ; Foldnes, Njl. In: Psychometrika. RePEc:spr:psycho:v:85:y:2020:i:4:d:10.1007_s11336-020-09737-y.

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2021Detection of arbitrage opportunities in multi-asset derivatives markets. (2021). Yanez, Sarmiento Paulo ; Antonis, Papapantoleon. In: Dependence Modeling. RePEc:vrs:demode:v:9:y:2021:i:1:p:439-459:n:18.

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2020A competing risks model with time‐varying heterogeneity and simultaneous failure. (2020). Liu, Ruixuan. In: Quantitative Economics. RePEc:wly:quante:v:11:y:2020:i:2:p:535-577.

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Works by PETER TANKOV:


YearTitleTypeCited
2011Arbitrage Opportunities in Misspecified Stochastic volatility Models In: Papers.
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paper2
2010Tracking errors from discrete hedging in exponential L\evy models In: Papers.
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paper5
2011Improved Frechet bounds and model-free pricing of multi-asset options In: Papers.
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paper19
2010A finite dimensional approximation for pricing moving average options In: Papers.
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paper2
2010A finite dimensional approximation for pricing moving average options.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 2
paper
2011Swing Options Valuation: a BSDE with Constrained Jumps Approach In: Papers.
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paper1
2011Swing Options Valuation:a BSDE with Constrained Jumps Approach.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2011Portfolio Insurance under a risk-measure constraint In: Papers.
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paper5
2011Portfolio insurance under a risk-measure constraint.(2011) In: Insurance: Mathematics and Economics.
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This paper has another version. Agregated cites: 5
article
2014Asymptotically optimal discretization of hedging strategies with jumps In: Papers.
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paper11
2014Small-time asymptotics of stopped L\evy bridges and simulation schemes with controlled bias In: Papers.
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paper5
2012Optimal simulation schemes for L\evy driven stochastic differential equations In: Papers.
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paper0
2013Numerical methods for the quadratic hedging problem in Markov models with jumps In: Papers.
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paper0
2012A new look at short-term implied volatility in asset price models with jumps In: Papers.
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paper7
2016Tail behavior of sums and differences of log-normal random variables In: Papers.
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paper6
2013Hedging under multiple risk constraints In: Papers.
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paper2
2013Market models with optimal arbitrage In: Papers.
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paper1
2016Tails of weakly dependent random vectors In: Papers.
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paper0
2014Implied volatility of basket options at extreme strikes In: Papers.
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paper0
2015Asymptotic indifference pricing in exponential L\evy models In: Papers.
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paper0
2015Asymptotic Lower Bounds for Optimal Tracking: a Linear Programming Approach In: Papers.
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paper4
2016Approximate Option Pricing in the L\evy Libor Model In: Papers.
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paper0
2008A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES In: Mathematical Finance.
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article16
2009CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES In: Mathematical Finance.
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article30
2009Constant proportion portfolio insurance in presence of jumps in asset prices.(2009) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 30
paper
2007Constant Proportion Portfolio Insurance in presence of Jumps in Asset Prices.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2006Characterization of dependence of multidimensional Lévy processes using Lévy copulas In: Journal of Multivariate Analysis.
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article48
2009Asymptotic analysis of hedging errors in models with jumps In: Stochastic Processes and their Applications.
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article11
2010Jump-adapted discretization schemes for Lévy-driven SDEs In: Stochastic Processes and their Applications.
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article5
2011Asymptotic results for time-changed Lévy processes sampled at hitting times In: Stochastic Processes and their Applications.
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article5
2008Optimal consumption policies in illiquid markets In: Working Papers.
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paper13
2011Optimal consumption policies in illiquid markets.(2011) In: Finance and Stochastics.
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This paper has another version. Agregated cites: 13
article
2006Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes In: Asia-Pacific Financial Markets.
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article20

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